09/29/2004
| EFFECTIVE DATE: | Thursday, September 30, 2004 (close of business) |
| FUTURES CONTRACTS: | Natural Gas, Henry Hub Swaps and e-miNY Natural Gas Contracts |
| CONTRACT MONTHS: | All Natural Gas Contract Months |
NG/NN Scan and Intra-Commodity Spread Tiers
Tiers |
New |
Old |
1 |
1st Nearby |
1st Nearby |
2 |
2nd Nearby |
2nd Nearby |
3 |
3rd Nearby |
3rd Nearby |
4 |
4th Nearby |
4th – 6th Nearby |
5 |
5th Nearby |
7th Nearby |
6 |
6th Nearby |
8th Nearby |
7 |
7th – 13th Nearby |
9th – 14th Nearby |
8 |
14th – 29th Nearby |
15th – 18th Nearby |
9 |
Greater than 29th Nearby |
Greater than 18th Nearby |
NYMEX Division Outright (Scan) Margins on Natural Gas Futures (NG)
Tiers |
Clearing Member / Maintenance Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|||
New |
Old |
New |
Old |
New |
Old |
|
1 |
$5,500 |
$5,000 |
$6,050 |
$5,500 |
$7,425 |
$6,750 |
2 |
$5,000 |
$4,500 |
$5,500 |
$4,950 |
$6,750 |
$6,075 |
3 |
$5,000 |
$4,500 |
$5,500 |
$4,950 |
$6,750 |
$6,075 |
4 |
$5,000 |
$4,500 |
$5,500 |
$4,950 |
$6,750 |
$6,075 |
5 |
$4,750 |
$3,000 |
$5,225 |
$3,300 |
$6,413 |
$4,050 |
6 |
$3,500 |
$2,000 |
$3,850 |
$2,200 |
$4,725 |
$2,700 |
7 |
$3,000 |
$2,500 |
$3,300 |
$2,750 |
$4,050 |
$3,375 |
8 |
$1,500 |
$3,000 |
$1,650 |
$3,300 |
$2,025 |
$4,050 |
9 |
$1,000 |
$1,000 |
$1,100 |
$1,100 |
$1,350 |
$1,350 |
NYMEX Division Outright (Scan) Margins on Henry Hub Swap Futures (NN)
Tiers |
Clearing Member / Maintenance Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|||
New |
Old |
New |
Old |
New |
Old |
|
1 |
$1,375 |
$1,250 |
$1,513 |
$1,375 |
$1,856 |
$1,688 |
2 |
$1,250 |
$1,125 |
$1,375 |
$1,238 |
$1,688 |
$1,519 |
3 |
$1,250 |
$1,125 |
$1,375 |
$1,238 |
$1,688 |
$1,519 |
4 |
$1,250 |
$1,125 |
$1,375 |
$1,238 |
$1,688 |
$1,519 |
5 |
$1,188 |
$750 |
$1,306 |
$825 |
$1,603 |
$1,013 |
6 |
$875 |
$500 |
$963 |
$550 |
$1,181 |
$675 |
7 |
$750 |
$625 |
$825 |
$688 |
$1,013 |
$844 |
8 |
$375 |
$750 |
$413 |
$825 |
$506 |
$1,013 |
9 |
$250 |
$250 |
$275 |
$275 |
$338 |
$338 |
NYMEX Division Outright (Scan) Margins on Natural Gas e-miNY Futures (QG)
Tiers |
Clearing Member / Maintenance Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|||
New |
Old |
New |
Old |
New |
Old |
|
1 |
$2,750 |
$2,500 |
$3,025 |
$2,750 |
$3,713 |
$3,375 |
2 |
$2,500 |
$2,250 |
$2,750 |
$2,475 |
$3,375 |
$3,038 |
NYMEX Division Intra-Commodity Spread Margins on Natural Gas Futures (NG)
Tiers |
Clearing Member / Maintenance Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|||
New |
Old |
New |
Old |
New |
Old |
|
1 |
$1,000 |
$1,000 |
$1,100 |
$1,100 |
$1,350 |
$1,350 |
2 |
$750 |
$500 |
$825 |
$550 |
$1,013 |
$675 |
3 |
$750 |
$500 |
$825 |
$550 |
$1,013 |
$675 |
4 |
$750 |
$500 |
$825 |
$550 |
$1,013 |
$675 |
5 |
$500 |
$500 |
$550 |
$550 |
$675 |
$675 |
6 |
$500 |
$500 |
$550 |
$550 |
$675 |
$675 |
7 |
$500 |
$500 |
$550 |
$550 |
$675 |
$675 |
8 |
$500 |
$500 |
$550 |
$550 |
$675 |
$675 |
9 |
$250 |
$250 |
$275 |
$275 |
$338 |
$338 |
NYMEX Division Intra-Commodity Margins on Henry Hub Swap Futures (NN)
Tiers |
Clearing Member / Maintenance Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|||
New |
Old |
New |
Old |
New |
Old |
|
1 |
$250 |
$250 |
$275 |
$275 |
$338 |
$338 |
2 |
$188 |
$125 |
$206 |
$138 |
$253 |
$169 |
3 |
$188 |
$125 |
$206 |
$138 |
$253 |
$169 |
4 |
$188 |
$125 |
$206 |
$138 |
$253 |
$169 |
5 |
$125 |
$125 |
$138 |
$138 |
$169 |
$169 |
6 |
$125 |
$125 |
$138 |
$138 |
$169 |
$169 |
7 |
$125 |
$125 |
$138 |
$138 |
$169 |
$169 |
8 |
$125 |
$125 |
$138 |
$138 |
$169 |
$169 |
9 |
$63 |
$63 |
$69 |
$69 |
$84 |
$84 |
Current systems calculate the margin requirement for spread positions by first determining the "Scan Risk" and then multiplying the number of spreads by a rate set by the Exchange. Scan Risk is determined by netting the outright margin required for each leg of a spread. Spreading between differently margined contracts results in a higher spread margin than between equally margined contracts. Below is provided an example where the legs of a spread are margined differently.
Scan Risk Example at Clearing Member Rates
A spread consisting of one NG leg in Tier 1 and another in Tier 6 will have its requirement (at the clearing member rates) calculated at $3,000 starting on Thursday, September 30, 2004.
| One Long Tier 1 NG | (1 * $5,500) | = |
$5,500 | |
| One Short Tier 6 NG | (1 * $3,500) | = |
$3,500 | |
| Net Scan Risk | ($5,500-$3,500) | = |
$2,000 | |
| Spread Rate | (1* $ 1000) | = |
+ |
$1,000 |
| Total Requirement | = |
$3,000 |
Summary
| Clearing Member (Maintenance Margin): | $3,000 |
| Member Customer (Initial Margin): | $3,300 |
| Non-Member Customer (Initial Margin): | $4,050 |
This notice supersedes all previous notices regarding margin rates and tiers for Natural Gas Futures and Henry Hub Swap Futures contracts.